EconPapers    
Economics at your fingertips  
 

Dependence structures between Chinese stock markets and the international financial market: Evidence from a wavelet-based quantile regression approach

Lu Yang (), Shuairu Tian, Wei Yang, Mingli Xu and Shigeyuki Hamori ()

The North American Journal of Economics and Finance, 2018, vol. 45, issue C, 116-137

Abstract: In this study, we investigate the dependence structures between six Chinese stock markets and the international financial market including possible safe haven assets and global economic factors under different market conditions and investment horizons. The research is conducted by combining a quantile regression approach with a wavelet decomposition analysis. Although we find little or insignificant dependence under short investment horizons, we detect the strong asymmetric dependence of oil prices and the US dollar index on the six Chinese stock markets in the medium and long terms. Moreover, not only is crude oil not a safe haven, it may damage Chinese stock markets as it increases over the long term, even in bull markets. Meanwhile, appreciation of the US dollar (depreciation of RMB) damages (boosts) Chinese stock markets during bull (bear) market conditions under long investment horizons. Moreover, we find that VIX (volatility index)-related derivatives may serve as good risk management tools under any market condition, while gold is a safe haven asset only during crisis periods.

Keywords: Chinese stock market; Wavelet; Quantile regression analysis (search for similar items in EconPapers)
JEL-codes: C32 E44 Q43 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062940817300566
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:45:y:2018:i:c:p:116-137

Access Statistics for this article

The North American Journal of Economics and Finance is currently edited by Hamid Beladi

More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-04-20
Handle: RePEc:eee:ecofin:v:45:y:2018:i:c:p:116-137